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Multivariate COGARCH(1, 1) processes - MaRDI portal

Multivariate COGARCH(1, 1) processes (Q605037)

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Multivariate COGARCH(1, 1) processes
scientific article

    Statements

    title
    Multivariate COGARCH(1, 1) processes (English)
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    author
    Robert Stelzer
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    published in
    Bernoulli
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    publication date
    12 November 2010
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    zbMATH Keywords
    COGARCH
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    Lévy process
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    multivariate GARCH
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    positive definite random matrix process
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    second-order moment structure
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    stationarity
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    stochastic differential equations
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    stochastic volatility
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    variance mixture model
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    cites work
    Q5420974
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    Q5690490
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    Q4269108
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    Wishart processes
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    Q3721531
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    Q4061759
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    Matrix Analysis
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    Q4040931
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    Q4778955
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    Q5493557
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    Q3914121
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    Q4435813
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    Q4937701
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    Identifiers

    DOI
    10.3150/09-BEJ196
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    Mathematics Subject Classification ID
    62M10
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    60G51
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    60H10
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    62E15
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    62P05
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    zbMATH DE Number
    5815965
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    arXiv ID
    1002.4261
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